Nanex Research
Nanex ~ 30-Oct-2012 ~ IAU (on 16-May-2011) Set a Trading Speed Record
On May 16, 2011 starting at 13:44:40 and lasting for 3.5 seconds, a blast of 12,164
trades (1,216,400 shares) appeared from BATS. Each trades was for exactly 100 shares. Over
the next 10 seconds, another 2,088 trades (208,800 shares) executed at BATS. The prices
of these trades oscillated between 14.58 and 14.59. It was as if someone were trading
against themselves.
A
link to a google spreadsheet of these trades, or
download the text file.
1. IAU ~ 16-May-2011 ~ 1 second interval showing trades color coded by exchange.
2. IAU ~ 16-May-2011 ~ 1 second interval showing bids and asks color coded by exchange.
3. IAU ~ 16-May-2011 ~ 25 millisecond interval showing trades color coded by exchange and connected
by lines.
4. IAU ~ 16-May-2011 ~ 10 millisecond interval showing trades and quote spread from BATS.
5. IAU ~ 16-May-2011 ~ 1 millisecond interval showing trades and quote spread from BATS.
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